How to estimate a component GARCH (CGARCH)

[Christine]

I would like to estimate the component GARCH model proposed by Engle & Lee (1999) A long-run and short-run component model of stock return volatility. How can I do it? thanks.

[udo_sas]

Yes, please check out this usage note: http://support.sas.com/kb/22/093.html
Regards,
Udo

[udo_sas]

PS: After reading your subject properly 🙂 I'd like to add that these types of GARCH models are currently supported by PROC AUTOREG:
* generalized ARCH (GARCH),
* integrated GARCH (IGARCH),
* exponential GARCH (EGARCH)
* GARCH-in-mean(GARCH-M)